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Do investors choose hedge funds according to their past performance ? A flow & performance analysis

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Goller, Rachel ULiège
Promotor(s) : Lambert, Marie ULiège
Date of defense : 24-Jun-2020/26-Jun-2020 • Permalink : http://hdl.handle.net/2268.2/8953
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Title : Do investors choose hedge funds according to their past performance ? A flow & performance analysis
Author : Goller, Rachel ULiège
Date of defense  : 24-Jun-2020/26-Jun-2020
Advisor(s) : Lambert, Marie ULiège
Committee's member(s) : Moreno Miranda, Nicolas ULiège
Maclot, Philippe 
Language : English
Number of pages : 71
Keywords : [en] hedge fund
[en] mutual fund
[en] performance
[en] flow
[en] manager skills
[en] alternative investments
[en] UCITS
[en] panel regression
Discipline(s) : Business & economic sciences > Finance
Target public : Student
Institution(s) : Université de Liège, Liège, Belgique
Degree: Master en sciences de gestion, à finalité spécialisée en Banking and Asset Management
Faculty: Master thesis of the HEC-Ecole de gestion de l'Université de Liège

Abstract

[en] After the financial crisis of 2008, it was clear that investors were craving more transparency, liquidity and protection. Hedge fund managers saw an opportunity in the UCITS directive to launch UCITS compliant hedge funds and hedged mutual funds under the Investment Company Act of 1940. Previous studies have shown that the performance of funds drives the capital flows but no research has yet discovered whether the flows of liquid hedge funds and pure hedge funds are driven by their respective past performance. Using two different asset pricing models and a panel regression, this research suggests that liquid hedge funds are more sensitive to hedge funds' performance while hedge fund investors do not appear to react to positive liquid hedge funds' performance.


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  • Goller, Rachel ULiège Université de Liège > Master sc. gest., à fin.

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